6 th French Econometrics Conference

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1 6 th French Econometrics Conference Paris, December 4-5, 2014 Celebrating Christian Gouriéroux s Contribution to Econometrics Conference venue Université Paris-Dauphine House of Finance Room A709 Building A Place du Maréchal de Lattre de Tassigny, Paris Program committee Serge Darolles (Chair of the conference, Université Paris-Dauphine), Stéphane Grégoir (INSEE), Xavier d Haultefoeuille (CREST), Nour Meddahi (Toulouse School of Economics), Olivier Scaillet (University of Geneva & Swiss Finance Institute), Alain Trognon (CREST) Conference secretariat Fanda Traoré Phone: traore@ensae.fr Program: Registration: 1

2 Thursday, December 4, :00 Registration and welcome coffee 09:30 Welcome Address by A. FRACHOT, Director, GENES SESSION I Chair: C. PERIGNON 09:35 10:10 Staying at zero with affine processes: Applications to interest term structures A. MONFORT (CREST), F. Pegoraro (Banque de France), J-P. Renne (Banque de France), G. Roussellet (Banque de France) Discussant: S. MANGANELLI (European Central Bank) 10:10 10:45 Funding liquidity risk and the cross-section of stock returns R. GARCIA (EDHEC Business School), S. Gungor (Bank of Canada), J-S. Fontaine (Bank of Canada) Discussant: S. DUBECQ (European Central Bank) 10:45 11:15 Coffee break SESSION II Chair: A. HOLLY 11:15 11:50 Dynamic conditional beta: Some new results R. ENGLE (New York University) Discussant: O. SCAILLET (University of Geneva and SFI) 11:50 12:25 Indirect estimation via targeting D. Frazier (Monash University), E. RENAULT (Brown University) Discussant: C. BONTEMPS (ENAC and Toulouse School of Economics) 12:25 14:00 Lunch SESSION III Chair: A. SZAFARZ 14:00 14:35 Counterfactual mapping and individual treatment effects in nonseparable models with discrete endogeneity Q. VUONG (New York University), H. Xu (University of Texas at Austin) Discussant: X. D'HAULTFOEUILLE (CREST) 2

3 14:35 15:10 Dynamic factors and volatilities in large panels: extracting the market volatility shocks M. HALLIN (Université Libre de Bruxelles and Princeton University) Discussant: S. GREGOIR (INSEE) 15:10 15:45 Functional linear regression with functional response M. Carrasco (Université de Montreal), J-P. FLORENS (Toulouse School of Economics) Discussant: J. JOHANNES (ENSAI) 15:45 16:15 Coffee break SESSION IV Chair: J.-M. ZAKOIAN 16:15 16:50 Detecting regime shifts in default and liquidity spreads? G. DIONNE (HEC Montreal) O. Maalaoui Chun (Korea Advanced Institute of Science and Technology) Discussant: F. JOUNEAU (Université Lyon 2 GATE) 16:50 17:25 Principal component analysis of high frequency data Y. AIT-SAHALIA (Princeton University), D. Xiu (University of Chicago) Discussant: N. MEDDAHI (Toulouse School of Economics) 17:25 18:00 Double instrumental variable estimation of interaction models with big data P. Gagliardini (University of Lugano), C. GOURIEROUX (University of Toronto and CREST) Discussant: A. TROGNON (CREST) 18:00 1 st Day Concluding Address by E. JOUINI, Vice-President for Research, Université Paris- Dauphine 3

4 Friday, December 5, 2014 SESSION V Chair: J.-P. LAURENT 08:35 09:10 Estimating demand parameters with unobserved choice sets G. Crawford (Zurich University), R. Griffith (University of Manchester), A. IARIA (CREST) Discussant: P. SCOTT (Toulouse School of Economics) 09:10 09:45 Nonparametric spectral-based estimation of latent structures S. Bonhomme (University of Chicago), K. Jochmans (Sciences Po), J-M. ROBIN (Sciences Po) Discussant: P. GAGLIARDINI (University of Lugano) 09:45 10:20 Regional policy evaluation: Interactive fixed effects L. Gobillon (INED), T. MAGNAC (Toulouse School of Economics) Discussant: L. DAVEZIES (CREST) 10:20 10:50 Coffee break SESSION VI Chair: M. ROSENBAUM 10:50 11:25 Financial market liquidity: Who is acting strategically? S. Darolles (Université Paris-Dauphine), G. LE FOL (Université Paris-Dauphine and CREST), G. Méro (Université Cergy-Pontoise) Discussant: C. HURLIN (Université d Orléans) 11:25 12:00 Long memory through marginalization G. CHEVILLON (ESSEC Business School), A. Hecq (Maastricht University), S. Laurent (Université Aix-Marseille) Discussant: P. ZAFFARONI (Imperial College Business School) 12:00 13:30 Lunch SESSION VII Chair: B. VILLENEUVE 13:30 14:05 Misspecified recovery J. Borovicka (New York University), L. HANSEN (University of Chicago), J. Scheinkman (Columbia University) Discussant: N. TOUZI (Ecole Polytechnique) 14:05 14:40 Reflections on the probability space induced by moment conditions with implications for bayesian inference R. GALLANT (Penn State University) Discussant: C.P. ROBERT (Université Paris-Dauphine) 4

5 14:40 15:15 Jump regressions G. TAUCHEN (Duke University) Discussant: C.Y. ROBERT (Université Lyon 1) 15:15 15:45 Coffee break SESSION VIII Chair: B. DORMONT 15:45 16:20 Accounting for peer effects in treatment response R. Dieye (Université Laval), H. DJEBBARI (Aix Marseille School of Economics), F. Barrera-Osorio (Harvard GSE), Discussant: M. VISSER (CREST) 16:20 16:55 Please call again: Correcting non response bias in treatment effect model L. BEHAGHEL (Paris School of Economics), B. Crépon (CREST), M. Gurgand (CREST), T. Le Barbanchon (CREST) Discussant: S. CHABE-FERRET (Toulouse School of Economics) 16:55 Adjourn 5

6 Academic Partners This conference received the financial support of the "Financial Econometric" Thematic Semester granted by the LABEX Louis Bachelier 6

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